I felt the same way. The sections were too long to be short stories, and too short to be novels in their own right. Each could have stood alone as novels, but ended in weird places for novels to end, like they just weren't fully developed enough. They were interwoven, but not quite interwoven enough to be sections of a traditional novel. This isn't the first book I've read like this, so it may just be a stylistic thing that I'm not accustomed to.
Other than that, I highly recommend this book. It's one of those horror fantasy books where the real horror takes place outside the fantasy world, and was heavily inspired by real life events. It reminded me a little of Pan's Labyrinth in that respect.